It feels wrong
Any pressure against the exterior of the anus will feel odd at first. We just aren't used to pressure there. Similarly, we aren't used to objects opening us up down there. Even after long practice, there is often a somewhat uncomfortable sensation when penetration first begins. The pleasure that follows will more than make up for this discomfort.
Will it stay stretched?
One big fear many have is that once "stretched" the anus will stay stretched and cause problems including incontinence. This is completely untrue. First of all, your anus has probably opened pretty wide doing its regular job. Second, anal penetration doesn't stretch the anus, it teaches it to relax. Like any other muscle, the anal sphincters need to be conditioned and "taught" to relax. That's why we strongly suggest starting with small penetration toys, including fingers, and slowly working up to the bigger toys. Take your time. It can take a month or more to get comfortable enough with one size to move up to one a quarter- to half-inch larger in diameter. Remember, one inch in diameter is over three inches in circumference. A 1/4-inch increase will open the anus almost an additional inch.
No matter how much practice you have, at first anal penetration will be uncomfortable. It can range from a sharp pain or an ache, to the feeling you need to poop. This is normal, and the object should be left in place until you get used to it being there. A little experience will help you know when to ask your partner to go deeper or start to move.
Sounds like a lot of work. Why bother?
No question that there is education and practice needed to enjoy anal fun. The reason it is worth the trouble (for you or your partner) is that it feels good (well, sometimes more "interesting" than good), it allows a female to enjoy the male "role" of penetrating, and it opens up an entirely new sensual area of exploration.